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decomposition of the matrix into an orthogonal and an upper triangular matrix. QR

decomposition is often used to solve the linear least squares problem, and is the basis for a

particular eigenvalue algorithm, the QR algorithm.

Contents

[hide]

• 1 Definition

o 1.1 Square matrix

o 1.2 Rectangular matrix

o 1.3 QL, RQ and LQ decompositions

• 2 Computing the QR decomposition

o 2.1 Using the Gram-Schmidt process

2.1.1 Example

2.1.2 Relation to RQ decomposition

o 2.2 Using Householder reflections

2.2.1 Example

o 2.3 Using Givens rotations

2.3.1 Example

• 3 Connection to a determinant or a product of eigenvalues

• 4 Column pivoting

• 5 See also

• 6 References

• 7 External links

[edit] Definition

[edit] Square matrix

where Q is an orthogonal matrix (its columns are orthogonal unit vectors meaning QTQ = I) and

R is an upper triangular matrix (also called right triangular matrix). This generalizes to a complex

square matrix A and a unitary matrix Q. If A is nonsingular, then the factorization is unique if we

require that the diagonal elements of R are positive.

More generally, we can factor a complex m×n matrix A, with m ≥ n, as the product of an m×m

unitary matrix Q and an m×n upper triangular matrix R. As the bottom (m−n) rows of an m×n

upper triangular matrix consist entirely of zeroes, it is often useful to partition R, or both R and

Q:

where R1 is an n×n upper triangular matrix, Q1 is m×n, Q2 is m×(m−n), and Q1 and Q2 both have

orthogonal columns.

Golub & Van Loan (1996, §5.2) call Q1R1 the thin QR factorization of A. If A is of full rank n

and we require that the diagonal elements of R1 are positive then R1 and Q1 are unique, but in

general Q2 is not. R1 is then equal to the upper triangular factor of the Cholesky decomposition of

A* A (= ATA if A is real).

Analogously, we can define QL, RQ, and LQ decompositions, with L being a left triangular

matrix.

There are several methods for actually computing the QR decomposition, such as by means of

the Gram–Schmidt process, Householder transformations, or Givens rotations. Each has a

number of advantages and disadvantages.

Consider the Gram–Schmidt process applied to the columns of the full column rank matrix

, with inner product (or for the complex

case).

then:

We then rearrange the equations above so that the s are on the left, using the fact that the are

unit vectors:

A = QR

where:

[edit] Example

Recall that an orthogonal matrix Q has the property

Thus, we have

The RQ decomposition transforms a matrix A into the product of an upper triangular matrix R

(also known as right-triangular) and an orthogonal matrix Q. The only difference from QR

decomposition is the order of these matrices.

column.

and reflects it about some plane or hyperplane. We can use this operation to calculate the QR

factorization of an m-by-n matrix A with m ≥ n.

Q can be used to reflect a vector in such a way that all coordinates but one disappear.

Let be an arbitrary real m-dimensional column vector of A such that || || = |α| for a scalar α. If

the algorithm is implemented using floating-point arithmetic, then α should get the opposite sign

as the k-th coordinate of , where xk is to be the pivot coordinate after which all entries are 0 in

matrix A's final upper triangular form, to avoid loss of significance. In the complex case, set

(Stoer & Bulirsch 2002, p. 225) and substitute transposition by conjugate transposition in the

construction of Q below.

Then, where is the vector (1,0,...,0)T, ||·|| is the Euclidean norm and I is an m-by-m identity

matrix, set

Or, if A is complex

, where

where is the conjugate transpose (transjugate) of

This can be used to gradually transform an m-by-n matrix A to upper triangular form. First, we

multiply A with the Householder matrix Q1 we obtain when we choose the first matrix column

for x. This results in a matrix Q1A with zeros in the left column (except for the first row).

This can be repeated for A′ (obtained from Q1A by deleting the first row and first column),

resulting in a Householder matrix Q′2. Note that Q′2 is smaller than Q1. Since we want it really to

operate on Q1A instead of A′ we need to expand it to the upper left, filling in a 1, or in general:

After t iterations of this process, t = min(m − 1,n),

A = QR is a QR decomposition of A.

This method has greater numerical stability than the Gram-Schmidt method above.

The following table gives the number of operations in the k-th step of the QR-Decomposition by

the Householder transformation, assuming a square matrix with size n.

multiplications 2(n − k + 1)2

additions (n − k + 1)2 + (n − k + 1)(n − k) + 2

division 1

square root 1

Summing these numbers over the (n − 1) steps (for a square matrix of size n), the complexity of

the algorithm (in terms of floating point multiplications) is given by

[edit] Example

First, we need to find a reflection that transforms the first column of matrix A, vector

, to

Now,

and

Here,

α = 14 and

Therefore

Now observe:

so we already have almost a triangular matrix. We only need to zero the (3, 2) entry.

Take the (1, 1) minor, and then apply the process again to

By the same method as above, we obtain the matrix of the Householder transformation

after performing a direct sum with 1 to make sure the next step in the process works properly.

Now, we find

decomposition.

QR decompositions can also be computed with a series of Givens rotations. Each rotation zeros

an element in the subdiagonal of the matrix, forming the R matrix. The concatenation of all the

Givens rotations forms the orthogonal Q matrix.

In practice, Givens rotations are not actually performed by building a whole matrix and doing a

matrix multiplication. A Givens rotation procedure is used instead which does the equivalent of

the sparse Givens matrix multiplication, without the extra work of handling the sparse elements.

The Givens rotation procedure is useful in situations where only a relatively few off diagonal

elements need to be zeroed, and is more easily parallelized than Householder transformations.

[edit] Example

First, we need to form a rotation matrix that will zero the lowermost left element, .

We form this matrix using the Givens rotation method, and call the matrix G1. We will first

rotate the vector (6, − 4), to point along the X axis. This vector has an angle

We can similarly form Givens matrices G2 and G3, which will zero the sub-diagonal elements a21

and a32, forming a triangular matrix R. The orthogonal matrix QT is formed from the

concatenation of all the Givens matrices QT = G3G2G1. Thus, we have G3G2G1A = QTA = R, and

the QR decomposition is A = QR.

eigenvalues

We can use QR decomposition to find the absolute value of the determinant of a square matrix.

Suppose a matrix is decomposed as A = QR. Then we have

Furthermore, because the determinant equals the product of the eigenvalues, we have

where λi are eigenvalues of A.

We can extend the above properties to non-square complex matrix A by introducing the

definition of QR-decomposition for non-square complex matrix and replacing eigenvalues with

singular values.

Note that the singular values of A and R are identical, although the complex eigenvalues of them

may be different. However, if A is square, it holds that

singular values of matrix.

This section requires expansion.

Column pivoting is useful when A is (nearly) rank deficient, or is suspected of being so. It can

also improve numerical accuracy. P is usually chosen so that the diagonal elements of R are non-

increasing: . This can be used to find the (numerical) rank of A at

lower computational cost than a singular value decomposition, forming the basis of so-called

rank-revealing QR algorithms.

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